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Semiparametric estimation of Markov decision processes with continuous state space

  • Srisuma, Sorawoot
  • Linton, Oliver

We propose a general two-step estimator for a popular Markov discrete choice model that includes a class of Markovian games with continuous observable state space. Our estimation procedure generalizes the computationally attractive methodology of Pesendorfer and Schmidt-Dengler (2008) that assumed finite observable states. This extension is non-trivial as the policy value functions are solutions to some type II integral equations. We show that the inverse problem is well-posed. We provide a set of primitive conditions to ensure root-T consistent estimation for the finite dimensional structural parameters and the distribution theory for the value functions in a time series framework.

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 166 (2012)
Issue (Month): 2 ()
Pages: 320-341

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Handle: RePEc:eee:econom:v:166:y:2012:i:2:p:320-341
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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